A Stochastic differential game in the orthrant

被引:8
|
作者
Ghosh, MK [1 ]
Kumar, KS [1 ]
机构
[1] Indian Inst Sci, Dept Math, Bangalore 560012, Karnataka, India
关键词
reflecting diffusions; discounted and average payoff; optimal strategy;
D O I
10.1006/jmaa.2001.7679
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We study a zero-sum stochastic differential game in the nonnegative orthrant. The state of the system is governed by controlled reflecting diffusions in the nonnegative orthrant. We consider discounted and average payoff evaluation criteria, We prove the existence of values and optimal strategies for both payoff criteria. (C) 2002 Elsevier Science.
引用
收藏
页码:12 / 37
页数:26
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